Bank capital shortfall in the euro area - Archive ouverte HAL
Article Dans Une Revue Journal of Financial Stability Année : 2022

Bank capital shortfall in the euro area

Eric Jondeau
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Jean-Guillaume Sahuc
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Résumé

We quantify the bank capital shortfall that results from a financial crisis by estimating a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the euro-area economy. The introduction of both deposit and shadow banks captures several characteristics of the banking system and reveals a financial amplification mechanism. By using a combination of a large positive risk shock and a large negative investment shock, we show that a crisis similar to that observed in 2008 would generate a bank capital shortfall between 2.2% and 3% of euro-area GDP, which corresponds to approximately 207–282 billion euros.

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Dates et versions

hal-03771767 , version 1 (07-09-2022)

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  • HAL Id : hal-03771767 , version 1

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Eric Jondeau, Jean-Guillaume Sahuc. Bank capital shortfall in the euro area. Journal of Financial Stability, 2022, 62. ⟨hal-03771767⟩
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